A complete representation theorem for G-martingales
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Publication:2812014
DOI10.1080/17442508.2013.865130zbMATH Open1337.60130arXiv1201.2629OpenAlexW2022845723MaRDI QIDQ2812014FDOQ2812014
Authors: Shige Peng, Yongsheng Song, Jianfeng Zhang 
Publication date: 10 June 2016
Published in: Stochastics (Search for Journal in Brave)
Abstract: In this paper we establish a complete representation theorem for -martingales. Unlike the existing results in the literature, we provide the existence and uniqueness of the second order term, which corresponds to the second order derivative in Markovian case. The main ingredient of the paper is a new norm for that second order term, which is based on an operator introduced by Song [26].
Full work available at URL: https://arxiv.org/abs/1201.2629
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- Martingale representation theorem for the \(G\)-expectation
- Moral hazard under ambiguity
- Quadratic backward stochastic differential equations driven by \(G\)-Brownian motion: discrete solutions and approximation
- Properties of \(G\)-martingales with finite variation and the application to \(G\)-Sobolev spaces
- \(G\)-stochastic maximum principle for risk-sensitive control problem and its applications
- Uniqueness of the representation for \(G\)-martingales with finite variation
- Local wellposedness of coupled backward stochastic differential equations driven by \(G\)-Brownian motions
- Reflected forward-backward stochastic differential equations driven by \(G\)-Brownian motion with continuous monotone coefficients
- Reduced-form framework under model uncertainty
- An \(\alpha\)-stable limit theorem under sublinear expectation
- A stochastic recursive optimal control problem under the G-expectation framework
- Delay feedback stabilisation of stochastic differential equations driven by \(G\)-Brownian motion
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- Optimal contract for the principal-agent under Knightian uncertainty
- Second order backward stochastic differential equations with quadratic growth
- Neutral stochastic partial functional integro-differential equations driven by \(G\)-Brownian motion
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- New challenges in the interplay between finance and insurance. Abstracts from the workshop held October 1--6, 2023
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- Maximum principle for forward-backward stochastic control system under \(G\)-expectation and relation to dynamic programming
- Supermartingale decomposition theorem under \(G\)-expectation
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- \(G\)-expectation weighted Sobolev spaces, backward SDE and path dependent PDE
- Robust mean-variance hedging via \(G\)-expectation
- Backward stochastic differential equations driven by \(G\)-Brownian motion
- Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by \(G\)-Brownian motion
- Reduced-form framework for multiple ordered default times under model uncertainty
- Optimal control with delayed information flow of systems driven by \(G\)-Brownian motion
- Stochastic optimization theory of backward stochastic differential equations driven by G-Brownian motion
- A representation theorem for smooth Brownian martingales
- Martingale problem under nonlinear expectations
- Exponential stability of solutions to stochastic differential equations driven by \(G\)-Lévy process
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